VIX pricing in the rBergomi model under a regime switching change of measure (Q6158433)
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scientific article; zbMATH DE number 7698406
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| English | VIX pricing in the rBergomi model under a regime switching change of measure |
scientific article; zbMATH DE number 7698406 |
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VIX pricing in the rBergomi model under a regime switching change of measure (English)
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20 June 2023
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stochastic volatility
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fractional Brownian motion
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VIX smile
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0.7982755899429321
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0.7982754707336426
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0.7762523889541626
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0.7755762934684753
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